Application of information-theoretic forecasting methods to the analysis of geophysical and economic data
Abstract
We describe and experimentally investigate a method to construct forecasting algorithms for
stationary and ergodic processes based on universal measures (or so-called universal data
compressors). Using some geophysical and economical time series as examples, we show that
the precision of thus obtained predictions is higher than that of known methods.
stationary and ergodic processes based on universal measures (or so-called universal data
compressors). Using some geophysical and economical time series as examples, we show that
the precision of thus obtained predictions is higher than that of known methods.
Review
For citations:
P.a. Pristavka Application of information-theoretic forecasting methods to the analysis of geophysical and economic data. The Herald of the Siberian State University of Telecommunications and Information Science. 2011;(2):35-41. (In Russ.)
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